In the Deed it specifically says that we have a right away and the real estate agent said that this road was our right a way. Its highlighted in the deed as well.

Yes, but you need to make sure the right of way is accurate as it concerns other parcels. I've handled a case that had a fraudulent right of way. This is why you should consult your title company if you purchased title insurance and a local attorney.

Our Deed does say that we do have a right of way, their attorney sent us a threatening letter saying to stay off the right of way or other actions will be taken. What should we do next?

You need to take your deed and a survey if you have it and consult iwth an attorney. As suggested earlier, if you have title insurance, you should contact that company first - but do so immediately. Be sure to make copies of the letter and any other documents.

Ok Well Our Deed says we have a right of way, and there deed says nothing about a right of way....weird, but thank you all so much for your help! We will take your advice!